Optimality Variational Principle for Controlled Forward-Backward Stochastic Differential Equations with Mixed Initial-Terminal Conditions | Zendy

Jiongmin Yong | Zendy

Open Access

Optimality Variational Principle for Controlled Forward-Backward Stochastic Differential Equations with Mixed Initial-Terminal Conditions

Author(s) -

Jiongmin Yong

Publication year - 2010

Publication title -

siam journal on control and optimization

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 1.486

H-Index - 116

eISSN - 1095-7138

pISSN - 0363-0129

DOI - 10.1137/090763287

Subject(s) - mathematics , terminal (telecommunication) , stochastic differential equation , optimal control , maximum principle , regular polygon , stochastic control , domain (mathematical analysis) , mathematical analysis , mathematical optimization , computer science , geometry , telecommunications

An optimal control problem for general coupled forward-backward stochastic differential equations (FBSDEs) with mixed initial-terminal conditions is considered. The control domain is not assumed to be convex, and the control appears in the diffusion coefficient of the forward equation. Necessary conditions of Pontraygin's type for the optimal controls are derived by means of spike variation techniques.

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